Euro Bailout Halflife: 48 Hours

10Y US Treasuries have now successfully eradicated all the post-summit losses and are well on their way to last week's low yields as the reality (that we unendingly slammed into people's heads) appears to be hitting managers minds. 2s10s30s has also retraced the entire post-summit shift and the EUR is also getting very close to unch (from pre-summit). This leaves only ES (and credit to a lesser degree) as the odd man out having retraced only 50% of the post-summit euphoria.

The 10Y has recovered all its losses post-summit (as has also 10Y Bunds having already noted Spanish and Italian just keep losing ground). The TSY butterfly has lost its move post-summit entirely suggesting more downside in equities.

And credit and equity markets are back in sync with the late-day technical squeeze in HY from Friday eradicated now.

From a broad risk asset perspective, the intervention last night would have 'normally' suggested significant strength in ES (and other risk assets) but it seemed the risk-off sentiment was far greater than any correlation-driven strength and as the day has worn on, CONTEXT has leaked back (as risk assets in general have dropped back to sync with ES).

So - in summary - every asset class that was designed to benefit from the Euro Summit (rates, sovereign debt, & Italian banks for example) has given up its gains (France CDS widening significantly and EFSF deteriorating also) and the most shocked and still likely scarred (psychologically) equity and credit indices have room to drop here to catch up with that reality - whether the recession on/off switch is triggered or the 'must-buy-to-avoid-career-risk' trade is on.